This study aimed to evaluate the effects of maternal exercise on alterations induced by prenatal stress in markers of the inflammatory process and the hypothalamic–pituitary–adrenal axis in the brain and lungs of neonatal mice. Female Balb/c mice were divided into three groups: control, prenatal restraint stress, prenatal restraint stress and physical exercise before and during the gestational period. On day 0 (PND0) and 10 (PND10), mice were euthanized for brain and lung analyses. The gene expression of GR, MR, IL‐6, IL‐10, and TNF in the brain and lungs and the protein expression of MMP‐2 in the lungs were analyzed. Maternal exercise reduced IL‐6 and IL‐10 gene expression in the brain of PND0 mice. Prenatal stress and maternal exercise decreased GR, MR, IL‐6, and TNF gene expression in the lungs of PND0 mice. In the hippocampus of PND10 females, exercise inhibited the effects of prenatal stress on the expression of MR, IL‐6, and IL‐10. In the lungs of PND10 females, exercise prevented the decrease in GR expression caused by prenatal stress. In the hippocampus and lungs of PND10 males, prenatal stress decreased GR gene expression. Our findings confirm the effects induced by prenatal stress and demonstrate that physical exercise before and during the gestational period may have a protective role on inflammatory changes.